Obstacle problem for nonlinear integro-differential equations arising in option pricing-Reference-Cited by-同舟云学术

Obstacle problem for nonlinear integro-differential equations arising in option pricing

Published:2007-06 Issue:1 Volume:56 Page:1-17
ISSN:0035-5038
Container-title:Ricerche di Matematica
language:en
Short-container-title:Ricerche mat.

Author:

Amadori Anna Lisa

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,General Mathematics

Link

http://link.springer.com/content/pdf/10.1007/s11587-007-0001-x.pdf

Reference17 articles.

1. 1. Alvarez, O., Tourin, A.: Viscosity solutions of nonlinear integro-differential equations. Ann. Inst. H. Poincaré Anal. Non Linéaire 13, 293–317 (1996)

2. 2. Amadori, A.L., Karlsen, K.H., La Chioma, C.: Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations. Stoch. Stoch. Rep. 76, 147–177 (2004)

3. 3. Amadori, A.L.: Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach. Differ. Integral Eq. 7, 787–811 (2003)

4. 4. Barles, G., Buckdahn, R., Pardoux, E.: Backward stochastic differential equations and integral-partial differential equations. Stoch. Stoch. Rep. 60, 57–83 (1997)

5. 5. Barles, G., Perthame, B.: Exit time problems in optimal control and vanishing viscosity method. SIAM J. Control Optim. 26, 1133–1148 (1988)

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